REI Options History — January 2015

In January 2015, REI traded between $8.44 and $10.57. ATM implied volatility averaged 69.8%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 13.8% (HV 20d: 83.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2015-01-12: Highest Volume — 367 contracts
2015-01-14: Largest IV drop — 33.2% change
2015-01-30: Highest IV Rank — 18.1%
2015-01-14: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.15	$8.44	$10.57	$10.57	$9.22
Max Pain	$5.77	$5.00	$7.50	$7.50	$5.00
ATM IV	69.8%	54.3%	112.5%	61.9%	63.6%
Expected Move	18.9%	15.6%	21.5%	19.0%	18.2%
HV 20d	83.6%	63.0%	107.4%	105.4%	63.0%
HV 60d	99.3%	97.9%	100.6%	98.2%	98.7%
IV Rank	18.1%	18.1%	18.1%	18.1%	18.1%
IV Percentile	42.1%	42.1%	42.1%	42.1%	42.1%
Term Structure	3.0%	-44.5%	21.7%	5.8%	1.4%
VWIV	67.2%	44.0%	118.3%	82.4%	69.3%
Skew 25d	2.6%	-24.0%	14.3%	1.0%	6.5%
Skew 10d	24.9%	0.4%	37.6%	22.2%	37.6%
Call IV 25d	64.8%	53.4%	84.8%	66.8%	72.3%
Put IV 25d	67.3%	54.4%	78.8%	67.9%	78.8%
Bid-Ask Spread %	106.43	61.99	114.45	96.93	110.50
Gamma HHI	0.41	0.26	0.54	0.26	0.47
Net GEX	3.9K	2.8K	4.8K	3.7K	4.6K
Net DEX	-53.2K	-191.5K	17.4K	-191.5K	-69.9K
Net VEX	-1.5K	-2.1K	-1.2K	-2.1K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.00	1.21	1.21	0.95
Total Volume	190.45	0	367	305	289
Total OI	1,205.4	1,165	1,278	1,216	1,171

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-01-02	$10.57	$0.00	61.9%	19.0%	105.4%	0.0%	0.0%	1.0%	5.8%	3.7K	-191.5K	-2.1K	1.21	96.93	138	167	858	358
2015-01-05	$10.14	$0.00	68.9%	20.4%	106.3%	0.0%	0.0%	13.9%	-0.3%	3.2K	-136.9K	-2.0K	0.00	105.32	0	0	858	358
2015-01-06	$9.66	$0.00	75.7%	20.3%	107.4%	0.0%	0.0%	7.0%	3.1%	3.1K	-100.7K	-1.9K	0.00	103.05	0	0	858	358
2015-01-07	$9.20	$0.00	66.3%	19.5%	99.2%	0.0%	0.0%	2.6%	4.7%	2.8K	-61.0K	-1.7K	0.00	105.61	2	0	858	358
2015-01-08	$9.55	$0.00	70.0%	19.7%	94.5%	0.0%	0.0%	4.6%	1.6%	2.8K	-64.5K	-1.7K	1.20	109.51	139	167	860	358
2015-01-09	$9.33	$0.00	73.0%	19.4%	92.5%	0.0%	0.0%	3.6%	-0.2%	3.0K	-58.1K	-1.7K	1.20	109.37	139	167	860	358
2015-01-12	$8.54	$0.00	94.4%	20.1%	98.3%	0.0%	82.4%	-24.0%	-44.5%	3.5K	7.9K	-1.4K	0.83	106.65	200	167	860	358
2015-01-13	$8.85	$7.50	112.5%	18.9%	98.9%	0.0%	44.0%	8.8%	13.6%	3.8K	-11.0K	-1.5K	0.93	110.83	179	167	902	358
2015-01-14	$9.00	$7.50	75.1%	21.5%	96.8%	0.0%	61.3%	-0.6%	-7.8%	4.0K	-35.5K	-1.5K	0.86	102.63	194	167	905	358
2015-01-15	$8.57	$7.50	64.2%	18.4%	98.4%	0.0%	64.3%	1.5%	17.5%	4.0K	-18.4K	-1.4K	0.88	61.99	190	167	920	358
2015-01-16	$8.90	$7.50	54.3%	15.6%	69.9%	0.0%	53.2%	14.3%	21.7%	3.9K	-46.6K	-1.5K	0.00	111.01	11	0	921	353
2015-01-20	$8.44	$5.00	66.2%	19.0%	69.8%	0.0%	118.3%	5.3%	-10.1%	4.4K	17.4K	-1.2K	0.00	114.45	3	0	858	307
2015-01-21	$8.77	$5.00	66.1%	19.0%	70.1%	0.0%	0.0%	4.6%	10.3%	3.9K	-30.4K	-1.4K	0.00	111.86	0	0	861	307
2015-01-22	$8.72	$5.00	61.9%	17.7%	68.6%	0.0%	56.1%	0.9%	4.6%	4.3K	5.2K	-1.2K	0.95	112.82	148	141	861	307
2015-01-23	$8.79	$5.00	58.4%	16.7%	66.4%	0.0%	60.2%	-1.8%	7.7%	4.6K	-17.9K	-1.3K	0.95	112.19	148	141	861	307
2015-01-26	$9.15	$5.00	69.1%	19.8%	68.0%	0.0%	0.0%	-3.1%	9.6%	4.3K	-45.5K	-1.4K	0.00	111.27	0	0	861	307
2015-01-27	$9.44	$5.00	56.5%	16.2%	69.4%	0.0%	0.0%	2.3%	7.6%	4.8K	-71.1K	-1.5K	0.00	109.86	0	0	861	307
2015-01-28	$9.03	$5.00	67.0%	19.2%	65.5%	0.0%	72.0%	-3.3%	-3.9%	4.4K	-56.7K	-1.4K	0.95	110.69	148	141	861	307
2015-01-29	$9.11	$5.00	70.3%	20.1%	63.1%	0.0%	58.2%	7.3%	17.8%	4.3K	-79.6K	-1.5K	0.95	111.97	148	141	864	307
2015-01-30	$9.22	$5.00	63.6%	18.2%	63.0%	18.1%	69.3%	6.5%	1.4%	4.6K	-69.9K	-1.4K	0.95	110.50	148	141	864	307